Probablity Group:
Research

Prof. A. M. Davie
Sandy Davie works mainly in the area of dynamical systems, in particular the use of functional analysis and complex analysis to study bifurcations of dynamical systems and behaviour near bifurcations. He is also interested in stochastic partial differential equations and generally in problems of analysis arising from probability theory.
Prof. I. Gyongy
Istvan Gyongy works mainly in the following areas:
- solvability of stochastic partial differential equations (SPDEs) and properties of the solutions;
- applications of SPDEs to problems arising in nonlinear filtering theory;
- regularization of ill-posed PDE problems by noise;
- numerical methods for stochastic differential equations (SDEs) and for SPDE's;
- stochastic models in financial mathematics ;
- modelling turbulence by SPDEs.
Dr. S. Assing
Sigurd Assing's main research interests involves the study of Markov processes and martingale problems applying modern tools in stochastic analysis. The major applications deal with stochastic partial differential equations in physics, especially turbulence, as well as the stochastic dynamics of particle systems. He is also interested in stochastic control problems.
Dr. S. Sabanis
Sotirios Sabanis is interested in applications of stochastic differential equations in economics and finance: areas of particular interest are derivative securities pricing, stochastic volatility models, valuation models for "hybrid" bonds and risk .

The group has a number of international links and collaborations - University of Barcelona, University of Bielefeld, Eötvos University of Budapest, University of Jyväskylä, USC Los Angeles, University of Minnesota, University of Strathclyde - to name but a few.

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Probablity Group: Research

Probablity Group:
Research